Suppose I have a single time series of losses $L$ that consists of two sub-parts $L_1$ and $L_2$. Is there a relationship that relates the expected shortfall of $L$ to the expected shortfall of $L_1, ...
I was reading about the MPT (Use standard deviation as risk measure) on "Mathematics for Finance by Marek Capinski". I was just wondering is there anyone actually applying this theory to their ...
I got 1.3636 for beta for the problem below(165/121). But I became so unsure about the answer when I solved (c) because then the market risk becomes larger than the variance of Stock A. ...